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JBendge: An Object-Oriented System for Solving, Estimating and Selecting Nonlinear Dynamic Models

  • Viktor Winschel
  • Markus Krätzig

We present an object-oriented software framework allowing to specify, solve, and estimate nonlinear dynamic general equilibrium (DSGE) models. The imple- mented solution methods for nding the unknown policy function are the standard linearization around the deterministic steady state, and a function iterator using a multivariate global Chebyshev polynomial approximation with the Smolyak op- erator to overcome the course of dimensionality. The operator is also useful for numerical integration and we use it for the integrals arising in rational expecta- tions and in nonlinear state space lters. The estimation step is done by a parallel Metropolis-Hastings (MH) algorithm, using a linear or nonlinear lter. Implemented are the Kalman, Extended Kalman, Particle, Smolyak Kalman, Smolyak Sum, and Smolyak Kalman Particle lters. The MH sampling step can be interactively moni- tored and controlled by sequence and statistics plots. The number of parallel threads can be adjusted to bene t from multiprocessor environments. JBendge is based on the framework JStatCom, which provides a standardized ap- plication interface. All tasks are supported by an elaborate multi-threaded graphical user interface (GUI) with project management and data handling facilities.

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Paper provided by Sonderforschungsbereich 649, Humboldt University, Berlin, Germany in its series SFB 649 Discussion Papers with number SFB649DP2008-034.

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Length: 38 pages
Date of creation: Apr 2008
Date of revision:
Handle: RePEc:hum:wpaper:sfb649dp2008-034
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  1. Klein, Paul, 2000. "Using the generalized Schur form to solve a multivariate linear rational expectations model," Journal of Economic Dynamics and Control, Elsevier, vol. 24(10), pages 1405-1423, September.
  2. Viktor Winschel, 2005. "Solving, Estimating and Selecting Nonlinear Dynamic Economic Models without the Curse of Dimensionality," GE, Growth, Math methods 0507014, EconWPA.
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